If a Thunderling is killed, or has the Recall spell cast upon them, then their SFX will continue to play indefinitely at that location (it's the crackly sound effect that you can hear when near a Thunderling), and there seems to be no way to stop it.

This doesn't seem to be a problem when just picking them up.

I don't know if it happens when using Wormhole or Storm Vortex's alternate mode on them.

I haven't noticed it happening with the baby Thunderlings that are spawned by other units like Wizards.